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Asset pricing and investors' expectations : theory and evidence
Koh, Winston T. H. - 1994
Persistent link: https://www.econbiz.de/10001340267
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Asset price variability in a rational expectations equilibrium
Black, Jane M. - In: European economic review : EER 36 (1992) 7, pp. 1367-1377
Persistent link: https://www.econbiz.de/10001135230
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Profitable informed trading in a simple general equilibrium model of asset pricing
Dow, James; Gorton, Gary - 1993
Persistent link: https://www.econbiz.de/10000863080
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Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing
Dow, James - 1993
This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...
Persistent link: https://www.econbiz.de/10012474643
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Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing
Dow, James; Gorton, Gary B. - 2021
This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...
Persistent link: https://www.econbiz.de/10013232909
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When do security markets aggregate dispersed information?
Corgnet, Brice; Deck, Cary A.; DeSantis, Mark; Hampton, Kyle - In: Management science : journal of the Institute for … 69 (2023) 6, pp. 3697-3729
Persistent link: https://www.econbiz.de/10014305757
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Rational expectations equilibrium in a market with restricted access to differential information
Gillette, Belinda A. - 1991
Persistent link: https://www.econbiz.de/10000871187
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The volume of trade and the variability of prices : a framework for analysis in noisy rational expectations equilibria
Pfleiderer, Paul - 1984
Persistent link: https://www.econbiz.de/10000822366
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Do prices convey information? : Further empirical evidence
DeJong, Douglas V. (contributor) - 1992
Persistent link: https://www.econbiz.de/10001137765
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Expectativas racionales, competencia perfecta y comportamiento estratégico en los mercados financieros
Caballé, Jordi - In: Investigaciones económicas 15 (1991) 1, pp. 3-34
Persistent link: https://www.econbiz.de/10001120161